/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using System;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Data.Market;
using System.Collections.Generic;
using QuantConnect.Data.Auxiliary;
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
{
///
/// Event provider who will emit events
///
public class MappingEventProvider : ITradableDateEventProvider
{
private IMapFileProvider _mapFileProvider;
///
/// The associated configuration
///
protected SubscriptionDataConfig Config { get; private set; }
///
/// The current instance being used
///
protected MapFile MapFile { get; private set; }
///
/// Initializes this instance
///
/// The
/// The factor file provider to use
/// The provider to use
/// Start date for the data request
public virtual void Initialize(
SubscriptionDataConfig config,
IFactorFileProvider factorFileProvider,
IMapFileProvider mapFileProvider,
DateTime startTime)
{
_mapFileProvider = mapFileProvider;
Config = config;
InitializeMapFile();
if (MapFile.HasData(startTime.Date))
{
// initialize mapped symbol using request start date
Config.MappedSymbol = MapFile.GetMappedSymbol(startTime.Date, Config.MappedSymbol, Config.DataMappingMode);
}
}
///
/// Check for new mappings
///
/// The new tradable day event arguments
/// New mapping event if any
public virtual IEnumerable GetEvents(NewTradableDateEventArgs eventArgs)
{
if (Config.Symbol == eventArgs.Symbol
&& MapFile.HasData(eventArgs.Date))
{
var old = Config.MappedSymbol;
var newSymbol = MapFile.GetMappedSymbol(eventArgs.Date, Config.MappedSymbol, Config.DataMappingMode);
Config.MappedSymbol = newSymbol;
// check to see if the symbol was remapped
if (old != Config.MappedSymbol)
{
var changed = new SymbolChangedEvent(
Config.Symbol,
eventArgs.Date,
old,
Config.MappedSymbol);
yield return changed;
}
}
}
///
/// Initializes the map file to use
///
protected void InitializeMapFile()
{
MapFile = _mapFileProvider.ResolveMapFile(Config);
}
}
}